When you find this anti-trending system how will you allocate trading capital to it, through a dynamic market-type indicator, or a static 50/50 mix or something similar? As a non-pro trader, but one who uses two trend-following systems courtesy of TB for almost a year, I have come to learn that redu...

re: Conditional Orders at IB, THANKS, rhc, that's brilliant! You talk about high maintainence. I really ought to learn the IB API in order to automate this. One concern I have: my so-called "ETF Signal" suite is running with "Use Broker Positions" set to false. What if IB gets me into a position due...

OK, let me see if I can explain clearly what I have done: I created a new simulation suite named "ETF Signal" using the Donchian system on a portfolio of futures that include: C, CC, CL, CT, GC, HG, HO, KC, NG, QL, RB, SB, and SI. 0.8% risk per trade on $10MM starting equity. No broker positions. I ...

rhc, re: fidelity to underlying futures, how do you backtest such a discretionary system? I suppose it is possible to program Trading Blox to associate an ETF/ETN with the underlying futures, then modify the entry rule to execute when there is agreement. How would you handle an index like RJA, or wo...

Thanks. I did decide at the new year to abandon trading futures (for now) and replace them with commodity etfs and etns as per 'rhc'. With so little capital I was compelled to trade a basket of only about a dozen mini and micro markets at a gut-wretching 2% risk-per-trade just to play the game! I gr...

ycentrino, I deployed my TB and CSI in the Cloud with Amazon Web Services. It costs about $35 per month but I could get it cheaper if I prepay. I intend on writing up a detailed description and setup instructions to share on this forum. Unfortunately all of my energy has been diverted into a Startup.

Going forward you may want to consider going long or short a bond futures contract. I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts. I have not found a mini-sized 30Y but if you have the capital to trade the full-sized contracts then you can pr...

As I said, lack of history puts minis, micros, ETFs and ETNs at a disadvantage. My CSI price history for full-sized futures goes back to 1992 and stocks to 1999. I worry about survivorship bias when going too far back with stocks since my stock system picks from a basket of companies that are curren...

Thanks for your reply, Robwynge. A little more information before I proceed: I began this odyssey with a long-only stock system that had a nice CAGR of 20.1% but the DD was unbearable at 35.4% over 33.2 months. I decided that I needed to mix in futures to bring the DD down. The system that I am writ...

Socrates, After a gut check I recognized how squeamish I was over two decisions I made: (1) running with 2.5% risk per trade, and (2) rounding up the number of contracts in the portfolio manager. Reflecting on our conversation I decided to drop down to 1.5% risk per trade. Of course that necessitate...

About 10 years ago I purchased a VHS tape of Mr. Vince presenting his money management techniques in front of a live audience. At its conclusion he invited his audience to contact him via email with any questions. I took him up on his offer. He was very gracious and flattered that someone actually b...

Socrates, What is your Risk Per Trade? I searched high-and-low and discovered consensus around: 2/20. That is 2% risk-per-trade and 20% total portfolio risk. I found that I needed 2.5% risk-per-trade in order to be a "player" without welcoming total ruination. (Oh how I hate having so little equity!...

Oh Great Socrates (dig your handle!): Yes, definately backtest with the full-sized contracts since there is comparatively little history in the mini contracts. You will find however that there aren't enough minis out there to give you the diversification that you need. You may want to look into the ...